Related papers: Uniform value in Dynamic Programming
We consider small nonlinear perturbations of linear systems on a time scale with the phase space being finite or infinite-dimensional. For $\Delta$-differential operators, corresponding to linear dynamic systems we consider their…
Let $X$ be a uniform space and $U(X)$ the linear space of real-valued uniformly continuous functions on $X$. Our main objective is to give a number of properties characterizing the fact that $U(X)$ is stable under pointwise product in case…
I introduce a stability notion, dynamic stability, for two-sided dynamic matching markets where (i) matching opportunities arrive over time, (ii) matching is one-to-one, and (iii) matching is irreversible. The definition addresses two…
Dynamic programming is a class of algorithms used to compute optimal control policies for Markov decision processes. Dynamic programming is ubiquitous in control theory, and is also the foundation of reinforcement learning. In this paper,…
We study the optimal stopping problem of McKean-Vlasov diffusions when the criterion is a function of the law of the stopped process. A remarkable new feature in this setting is that the stopping time also impacts the dynamics of the…
For sequential stochastic control problems with standard Borel measurement and control action spaces, we introduce a general (universally applicable) dynamic programming formulation, establish its well-posedness, and provide new existence…
We describe a nonlinear generalization of dual dynamic programming theory and its application to value function estimation for deterministic control problems over continuous state and action spaces, in a discrete-time infinite horizon…
In this paper, we propose two discontinuous dynamical systems in continuous time with guaranteed prescribed finite-time local convergence to strict local minima of a given cost function. Our approach consists of exploiting a Lyapunov-based…
For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time step $t_0$, the decision maker formulates an optimization…
We propose a vector linear programming formulation for a non-stationary, finite-horizon Markov decision process with vector-valued rewards. Pareto efficient policies are shown to correspond to efficient solutions of the linear program, and…
This paper provides two results that are useful in the study of the existence and the stability properties of a periodic solution for a given dynamical system. The first result deals with scalar time-periodic systems and establishes the…
In this paper, we propose a general theory of ambiguity-averse MDPs, which treats the uncertain transition probabilities as random variables and evaluates a policy via a risk measure applied to its random return. This ambiguity-averse MDP…
Building on insights of Jovanovic (1982) and subsequent authors, we develop a comprehensive theory of optimal timing of decisions based around continuation value functions and operators that act on them. Optimality results are provided…
The model of asynchronous programming arises in many contexts, from low-level systems software to high-level web programming. We take a language-theoretic perspective and show general decidability and undecidability results for asynchronous…
We consider stochastic dynamic programming problems with high-dimensional, discrete state-spaces and finite, discrete-time horizons that prohibit direct computation of the value function from a given Bellman equation for all states and time…
We give a survey on classical and recent applications of dynamical systems to number theoretic problems. In particular, we focus on normal numbers, also including computational aspects. The main result is a sufficient condition for…
An important problem that arises in many engineering applications is the boundary value problem for ordinary differential equations. There have been many computational methods proposed for dealing with this problem. The convergence of the…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of results are characterizations of the super-hedging prices while it…
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal…